Mon, Mar 27, 2017
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

80 Capital opens Helium strategy to external investors after 23-month trading run

Monday, February 03, 2014
Opalesque Industry Update, for New Managers - Quantitative hedge fund manager 80 Capital LLP, run by former Deutsche Bank quantitative executive Philippe Azoulay, has opened its Helium strategy to external investors following a successful 23-month trading run and the acquisition of substantial seed capital.

The Helium strategy takes a unique approach to trading global managed futures. Developed by Azoulay within Deutsche Bank, it is being spun out as the first external investment of newly established 80 Capital LLP, which has received $50 million in seed capital investment from the bank.

“Receiving this level of institutional backing is unprecedented. It demonstrates the power of the Helium strategy,” said Azoulay.

Helium outperformed most of its managed futures peers in the 23 months from February 2012 with an average annualised outperformance of approximately 10% against major managed futures indices in a generally challenging period for managed futures. It had more positive months than its benchmark indices (64%) and a positive Sharpe ratio.

The strategy’s cumulative performance was 10.87%, its annualised performance 5.71%.

“By using a variety of techniques to catch statistical phenomenon on a medium- to long-term horizon and under a strict risk control structure, Helium is able to offer real alpha-generating power,” explained Azoulay.

Helium divides the trading universe into clusters of futures contracts, from which combinations of contracts are filtered and then systematically analysed to find trading signals. It thus generates alpha from correlation deformation as well as from price movement. The majority of quantitative funds build positions incrementally based on a signal strength type of criteria, such as the number of standard deviations above a threshold. However, this approach can lead to overweight positions with no statistical robustness that can quickly lose value. Helium, by contrast, uses cutting edge techniques that aim to eliminate the threat of exposure to a sudden fall.

“It’s about estimating how wrong we can be and then confronting that probability. That gives us a performance edge over the medium and long term,” Azoulay added.

80 Capital LLP is headquartered in London and authorised by the Financial Conduct Authority (FCA).

Press release
Bg

What do you think?

   Use "anonymous" as my name    |   Alert me via email on new comments   |   
Today's Exclusives Today's Other Voices More Exclusives
Previous Opalesque Exclusives                                  
More Other Voices
Previous Other Voices                                               
Access Alternative Market Briefing

 



  • Top Forwarded
  • Top Tracked
  • Top Searched
  1. Hedge fund liquidations in 2016 surpass 2009 levels, new launches decline[more]

    Benedicte Gravrand, Opalesque Geneva: Even as the hedge fund industry's total assets exceeded the $3tln milestone last year, hedge fund liquidations increased. So much so that 2016 had the highest number of liquidations since 2008, claims the latest HFR Market Microstructure Report, re

  2. Hedge funds find no joy in macro as returns lag Trump rally[more]

    From Gulfnews.com: In 2017, macro hedge funds were expected to shine. So far? Not so much. It's been a far from impressive first two months for funds that trade around macroeconomic events. Discretionary funds rose just 0.3 per cent through February, according to Hedge Fund Research Inc., while the

  3. Strategies - Billionaire investor Marc Lasry shares how he's playing markets right now, Classic models are failing FX hedge funds desperate for return[more]

    Billionaire investor Marc Lasry shares how he's playing markets right now From CNBC.com: Buy on the prospect of deregulation. Sell on the enactment of deregulation. That's the strategy that billionaire investor Marc Lasry is implementing, according to an interview with CNBC in Las Vegas

  4. Opalesque Exclusive: Aberdeen makes the case for the lower mid-market[more]

    Bailey McCann, Opalesque New York: Aberdeen Asset Management has released a new paper focused on lower mid-market private equity. According to the paper, this segment of the private equity market is gaining popularity with private equity investors that are looking for multiple expansion and less

  5. Hedge funds await outcome of French elections, feel pinch on lower oil prices & weak dollar[more]

    Komfie Manalo, Opalesque Asia: Hedge funds felt the pinch of lower oil prices and weak U.S. dollar as the Lyxor Hedge Fund Index was marginally down as of the week ending 14 March, Lyxor Asset Management said in its Weekly Briefing. The Lyxor He